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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10003313338
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Stochastic volatility of volatility and variance risk premia
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10009708931
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Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10002214180
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Power and bipower variation with stochastic volatility and jumps : discussion
Andersen, Torben; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10002575826